Connect to your PC.
Make a new folder where you would like to store your cam shots
Your cam shots are in DCIM/100media/
Drag them to the new folder
Unmount your phone from the computer and they should show up in their new folder as a new album.

Yes. Use a terminal emulator or a file manager and you can create one. the file manager method is fairly straightforward, the term commands:
cd /sdcard/
mkdir *THE NAME OF THE FOLDER*
cp *PATH OF FILES YOU WANT TO MOVE* *NEW FOLDER NAME*